50% VT 50% Cash

Portfolio Specification

Assets

VANGUARD TOTAL WORLD STOCK INDEX FUND ETF SHARES (VT) 50.00%
SPDR Bloomberg 1-3 Month T-Bill ETF (BIL) 50.00%

Policy

Rebalancing Interval Annually
Weights Algorithm Constant Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (17y 10m 11d)

Returns (annualized)

Portfolio 5.42%
Benchmark 12.35%

Risk (annualized)

Portfolio 9.67%
Benchmark 19.84%

Sharpe (annualized)

Portfolio 0.46
Benchmark 0.62

Excess Return (annualized)

-6.93%

Tracking Error (annualized)

11.16%

Information Ratio

-0.62
Statistic Portfolio Benchmark
Downside Volatility 10.38% 21.05%
Sortino Ratio 0.43 0.58
Calmar Ratio 0.16 0.26
Ulcer Index 15.38 15.04
Max Drawdown 26.99% 47.17%
VaR (99% Confidence) $-2,249 $-4,614
VaR (99.9% Confidence) $-2,987 $-6,129
Beta to Benchmark 0.46 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

8.66

Skew

-0.47
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.4937 0.9831 -0.4895
Size Factor 0.0201 -0.0582 0.0783
Style Factor 0.0061 0.0124 -0.0064
U.S. Tilt (Non U.S.) 0.0075 0.3966 -0.3891

Adjusted R2

Portfolio 0.96
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution